Modelling Multivariate Volatilities: An Ad Hoc Method

DOI10.1142/9789812567765_0006MaRDI QIDQ5299713zbMATH OpenOpenAlexFDO

Authors Mingjin Wang, Qiwei Yao

Publication date 21 June 2013

Published in Contemporary Multivariate Analysis and Design of Experiments (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/22886/1/Modelling_multivariate_volatilities-an_ad_hoc_approach%28LSERO%29.pdf

zbMATH Keywords

conditional covariance matrixfinancial returnsmultivariate GARCHstatistical estimation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(2)

• A multiple indicators model for volatility using intra-daily data
• scientific article; zbMATH DE number 5669994 (Why is no real title available?)

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